The number of mainland students in Hong Kong is increasing, especially in the sector of college. However, limited amount of empirical studies were conducted to address the differences between local Hong Kong students and their mainland counterpart. Questionnaires were distributed to 230 Hong Kong and mainland China students in two Universities in Hong Kong. In this study, the academic stress level was compared using Gadzella‟s (1991) Student-life Stress Inventory (SLSI). Health statues were compared using Ware‟s (1993) Medical Outcome Study: Short-form 36 (MOS SF-36). Coping was also compared, assessed by Folkman and Lazarus‟s (1985) Ways of Coping-Revised (WOC-R). The mediating effect of coping was examined. Academic self-efficacy, was assessed by Yuen‟s (2005) Academic Development Self-Efficacy Scale (Chinese version) extracted from the Life Skills Development Inventories (Junior Secondary Form). The moderating effect of academic self-efficacy was examined. Result showed that Hong Kong students were more stressful, and there is a negative relationship between stress and health. Neither the mediating effect of coping nor the moderating effect of academic self-efficacy was proved significant, but coping was proved to exert mediating effect on the relationship between place of birth and health. Health care professionals and school administrative should help students to tackle the stress experienced. It was believed that through more investigations into the mediating and moderating variables of stress-health relationship in local sample would more effective intervention program be produced.